Method for obtaining comprehensive catastrophic event simulation results

Abstract

The present invention relates to a method for obtaining a comprehensive catastrophic event simulation result, including: extracting an internal event identifier and an external event identifier, comparing the internal event identifier and the external event identifier, identifying an event that is not included in the internal event identifier but included in the external event identifier as an external included event; using all external included events and their corresponding occurrence times in the catastrophic event simulation result of the external catastrophic event model to form a comprehensive catastrophic event simulation result. The present invention starts from the internal event model and the external event model to obtain a comprehensive catastrophic event simulation result, thereby enabling the system to perform risk loss calculation based on the comprehensive catastrophic event simulation result, thereby realizing that the business loss results calculated based on the internal model and the external model can use a unified risk view to accumulate losses.

Description

Technical Field

[0001] The present invention relates to the field of reinsurance, and in particular to a method for obtaining comprehensive catastrophic event simulation results. Background Art

[0002] The scientific nature of the catastrophic event model is critical to the risk assessment of natural disasters. Usually, it is necessary to receive simulation results from catastrophic event models outside the system to calculate catastrophic event losses. The simulation results of the external event model are usually stored in the form of a catastrophic event loss result (Year Loss Table, YLT) data table generated by the external event model. Most of the events in this data table exist in the internal event model that has been generated by the system, but there are a small number of events that do not exist in the internal event model. At the same time, for the same catastrophic event, there will be different frequencies of occurrence in the internal event model and the external event model. The simulation of some events in the external event business model that also exist in the internal event business model may also be more accurate.

[0003] Therefore, in order to ultimately calculate the accuracy of catastrophic losses, and even further solve the problem of maintaining a unified risk view when performing internal event model business and external event model business calculations, the system needs to comprehensively consider internal event models and external event models in the process of simulating catastrophic events. Summary of the invention

[0004] In view of the problems existing in the prior art, the present invention proposes a method for obtaining comprehensive catastrophic event simulation results, comprising the following steps:

[0005] Extract event identifier steps

[0006] Extracting event identifiers of all events that occurred based on the catastrophic event simulation results of the internal catastrophic event model to obtain internal event identifiers;

[0007] Extracting event identifiers of all events that occurred based on the catastrophe event simulation results of the external catastrophe event model to obtain external event identifiers;

[0008] Comparison steps

[0009] Comparing the internal event identifier with the external event identifier, identifying an event that is not included in the internal event identifier but is included in the external event identifier as an externally included event;

[0010] All of the external included events and their corresponding occurrence times in the catastrophic event simulation results of the external catastrophic event model are used to form a comprehensive catastrophic event simulation result.

[0011] The present invention also provides a computer program product, comprising a computer program / instruction, which implements the steps of the method of the present invention when executed by a processor.

[0012] The present invention also provides a catastrophic event simulation system, which can implement the method of the present invention when running.

[0013] The present invention starts from the internal event model and the external event model to obtain a comprehensive catastrophic event simulation result, so that the system can calculate the risk loss based on the comprehensive catastrophic event simulation result, thereby realizing that the business loss results calculated based on the internal model and the external model can use a unified risk view to accumulate losses. BRIEF DESCRIPTION OF THE DRAWINGS

[0014] Figure 1 , One Flowchart of methods of some implementation modes. DETAILED DESCRIPTION

[0015] A method for obtaining comprehensive catastrophic event simulation results, the process is as follows: Figure 1 , including the following steps:

[0016] Extract event identifier steps

[0017] Extracting event identifiers of all events that occurred based on the catastrophic event simulation results of the internal catastrophic event model to obtain internal event identifiers;

[0018] Extracting event identifiers of all events that occurred based on the catastrophe event simulation results of the external catastrophe event model to obtain external event identifiers;

[0019] Comparison steps

[0020] Compare the internal event identifier and the external event identifier, and identify the event that is not included in the internal event identifier but is included in the external event identifier as an externally included event;

[0021] All external included events and their corresponding occurrence times in the catastrophic event simulation results of the external catastrophic event model are used to form the comprehensive catastrophic event simulation results.

[0022] Preferably, the step of extracting the event identifier also includes the following steps: removing the average loss of the event in the catastrophic event loss occurrence result (YLT) of the external catastrophic event model, that is, obtaining the catastrophic event simulation result of the external catastrophic event model.

[0023] The comparison step of the method of some embodiments further comprises the following steps:

[0024] Identify events that are included in the internal event identifier and the external event identifier as common events;

[0025] All common events and their corresponding occurrence times in the catastrophic event simulation results of the external catastrophic event model are used to form a comprehensive catastrophic event simulation result;

[0026] Identify events that are included in the internal event identifier and not included in the external event identifier as included events;

[0027] Obtain the internal catastrophe event model ELT, and generate several catastrophe event simulation results containing events based on the ELT using the Latin hypercube sampling method;

[0028] All catastrophic event simulation results of included events are used to form comprehensive catastrophic event simulation results.

[0029] Preferably, all events in the comprehensive catastrophic event simulation results are sorted according to the time of occurrence.

[0030] The event model ELT of the catastrophic event is data in the form of Table 1, and each piece of information contains the following five fields:

[0031] EventId: The ID of the event

[0032] EventFrequency: the annual frequency of the event

[0033] EventLoss: average loss of events

[0034] EventSTDV: standard deviation of the loss of the event

[0035] EventExposure: Maximum loss of an event

[0036] Table 1. Event Model ELT (Event Loss Table)

[0037] EventId EventFrequency EventLoss EventSTDV EventExposure 10000 0.2 1500000 800000 5500000 20000 0.3 3000000 2000000 15000000 30000 0.4 6500000 5000000 50000000

[0038] The simulation results of the catastrophe event YET include the event identifier and the time of occurrence, as shown in Table 2.

[0039] Table 2. Catastrophic event simulation results YET (Year Event Table)

[0040] Year EventId 1 10000 2 30000 3 20000 4 10000 5 30000 6 20000 7 30000 8 30000 10 20000

[0041] Note: The value of Year can be replaced by a time series of any time unit.

[0042] Including day sequence and week sequence, the values ​​of this column include letters, serial numbers, numbers, etc.;

[0043] Similarly, the value of Event includes letters, strings, numbers and other formats.

[0044] When calculating the loss results of catastrophic risk, the system uses YET to determine how the events in the catastrophic risk will occur. The system will then match the loss situation for each actual event. After obtaining the loss values ​​of all events, the system records them as the catastrophic event loss results YLT in the form of Table 3 below.

[0045] Table 3. Year Loss Table YLT

[0046] Year EventId EventLoss 1 10000 3000000 2 30000 7000000 3 20000 3100000 4 10000 1600000 5 30000 6000000 6 20000 2900000 7 30000 6600000 8 30000 6400000 10 20000 3400000

[0047] The comparison step of the method in some other embodiments further includes the following steps:

[0048] Identify events that are included in the internal event identifier and the external event identifier as common events;

[0049] Identify events that are included in the internal event identifier and not included in the external event identifier as included events;

[0050] All included events and their corresponding occurrence times in the catastrophic event simulation results of the internal catastrophic event model are used to form the comprehensive catastrophic event simulation results;

[0051] Compare the frequency of occurrence of common events in the simulation results of catastrophic events of external catastrophic event models and the frequency of occurrence of common events in the simulation results of catastrophic events of internal catastrophic event models;

[0052] If the frequency of occurrence of common events in the catastrophic event simulation results of the external catastrophic event model is greater than the frequency of occurrence in the catastrophic event simulation results of the internal catastrophic event model, then a number of common events and their corresponding occurrence times are randomly selected from the catastrophic event simulation results of the external catastrophic event model and added to the catastrophic event simulation results of the internal catastrophic event model until the frequency of occurrence of common events in the catastrophic event simulation results of the external catastrophic event model is equal to the frequency of occurrence in the catastrophic event simulation results of the internal catastrophic event model; the modified catastrophic event simulation results of the internal catastrophic event model are used as the comprehensive catastrophic event simulation results.

[0053] If the frequency of occurrence of the common events in the catastrophic event simulation results of the external catastrophic event model is less than the frequency of occurrence in the catastrophic event simulation results of the internal catastrophic event model, then a number of common events are randomly selected from the catastrophic event simulation results of the internal catastrophic event model until the frequency of occurrence of the common events in the catastrophic event simulation results of the external catastrophic event model is equal to the frequency of occurrence in the catastrophic event simulation results of the internal catastrophic event model; the modified catastrophic event simulation results of the internal catastrophic event model are used as the comprehensive catastrophic event simulation results; preferably, the loss value of the common events extracted from the catastrophic event simulation results of the internal catastrophic event model is set to 0.

[0054] Some more specific implementation methods are processed in the following 6 steps:

[0055] 1. Extract the event IDs (internal EventId) of all events that occur based on the internal YET;

[0056] 2. Remove the eventLoss column in the external YLT. The result after removing this column is the external YET;

[0057] 3. Extract the event IDs (external EventId) of all events that occurred based on the external YET;

[0058] 4. Compare the internal Event ID and the external Event ID. For events that are also included in the external Event ID and events that are not included in the external Event ID, use the external YET as the result of these events in the fused YET.

[0059] 5. For events that are included in the internal Event Id but not in the external Event Id, extract the ELT information of these events from the internal ELT, and generate the YET results of these events using the Latin hypercube sampling method based on the ELT information;

[0060] 6. Combine the YET results in steps 4 and 5 in the order of event occurrence to generate a fused YET.

[0061] The implementation and functional operation of the subject matter described in this specification may be implemented in the following: digital electronic circuits, tangibly implemented computer software or firmware, computer hardware, including the structures disclosed in this specification and their structural equivalents, or a combination of more than one of the above. The implementation of the subject matter described in this specification may be implemented as one or more computer programs, that is, one or more modules of computer program instructions encoded on one or more tangible non-transitory program carriers, for execution by a data processing device or to control the operation of a data processing device. In addition to hardware, the device may also include code to create an execution environment for related computer programs, such as code constituting processor firmware, a protocol stack, a database management system, an operating system, or a combination of one or more of them.

[0062] A computer program (which may also be referred to or described as a program, software, software application, module, software module, script or code) may be written in any form of programming language, including compiled or interpreted languages ​​or declarative or procedural languages, and the computer program may be deployed in any form, including as a stand-alone program or as a module, component, subroutine or other unit suitable for use in a computing environment. A computer program may, but need not, correspond to a file in a file system. A program may be stored in a portion of a file that stores other programs or data, for example, one or more scripts stored in the following: in a markup language document; in a single file dedicated to a related program; or in multiple collaborative files, for example, files storing one or more modules, subroutines or code portions. A computer program may be deployed to execute on one or more computers, the computers being located in one place or distributed to multiple locations and interconnected by a communications network.

[0063] A computer suitable for executing a computer program includes and may be based, for example, on a general purpose microprocessor or a special purpose microprocessor or both, or a central processing unit of any other kind. Typically, the central processing unit will receive instructions and data from a read-only memory or a random access memory or both. The essential elements of a computer are a central processing unit for running or executing instructions and one or more memory devices for storing instructions and data.

[0064] The embodiments of the subject matter described in this specification can be implemented in a computing system, which includes a back-end component such as a data server, or includes an intermediate component such as an application server, or includes a front-end component such as a client computer, which has a graphical user interface or a web browser, and a user can interact with the implementation of the subject matter described in this specification through a graphical user interface or a web browser, or the computer system includes any combination of one or more such back-end components, intermediate components or front-end components. The components in the system can be interconnected by digital data communication of any form or medium such as a communication network. Examples of communication networks include local area networks ("LANs") and wide area networks ("WANs"), for example, the Internet. The computing system may include a client and a server. The client and the server are usually far away from each other and usually interact through a communication network. The relationship between the client and the server is generated using a computer program that runs on each computer and has a client-server relationship between each other.

[0065] Although this specification contains many specific implementation details, these should not be interpreted as limitations on the scope of any invention or the scope of what can be claimed, but rather as an illustration of features that can concretize a particular embodiment of a particular invention. The specific features described in this specification in the context of independent embodiments can also be implemented in combination with a single embodiment. Conversely, the various features described in the context of a single embodiment can also be implemented independently in multiple embodiments, or in any suitable sub-combination. In addition, although the features can be described above as a combination effect and even initially required, one or more features from the required combination can be removed from the combination in some cases, and the required combination can be turned to a sub-combination or a variation of the sub-combination.

Claims

1. A method for obtaining comprehensive catastrophic event simulation results, characterized in that: The following steps are involved: Extract event identifier steps Extracting event identifiers of all events that occurred based on the catastrophic event simulation results of the internal catastrophic event model to obtain internal event identifiers; Extracting event identifiers of all events that occurred based on the catastrophe event simulation results of the external catastrophe event model to obtain external event identifiers; Comparison steps Comparing the internal event identifier with the external event identifier, identifying an event that is not included in the internal event identifier but is included in the external event identifier as an externally included event; All the external included events and their corresponding occurrence times in the catastrophic event simulation results of the external catastrophic event model are used to form a comprehensive catastrophic event simulation result; The comparison step also includes the following steps: Identify an event that is included in the internal event identifier and also included in the external event identifier as a common event; Comparing the occurrence frequency of the common event in the catastrophic event simulation results of the external catastrophic event model and the occurrence frequency of the common event in the catastrophic event simulation results of the internal catastrophic event model; If the frequency of occurrence of the common event in the catastrophic event simulation results of the external catastrophic event model is greater than the frequency of occurrence in the catastrophic event simulation results of the internal catastrophic event model, a number of the common events and their corresponding occurrence times are randomly selected from the catastrophic event simulation results of the external catastrophic event model and added to the catastrophic event simulation results of the internal catastrophic event model until the frequency of occurrence of the common event in the catastrophic event simulation results of the external catastrophic event model is equal to the frequency of occurrence in the catastrophic event simulation results of the internal catastrophic event model; the modified catastrophic event simulation results of the internal catastrophic event model are used as the comprehensive catastrophic event simulation results; If the frequency of occurrence of the common event in the catastrophic event simulation results of the external catastrophic event model is less than the frequency of occurrence in the catastrophic event simulation results of the internal catastrophic event model, then a number of the common events are randomly selected from the catastrophic event simulation results of the internal catastrophic event model until the frequency of occurrence of the common event in the catastrophic event simulation results of the external catastrophic event model is equal to the frequency of occurrence in the catastrophic event simulation results of the internal catastrophic event model; the modified catastrophic event simulation results of the internal catastrophic event model are used as the comprehensive catastrophic event simulation results.

2. The method according to claim 1, characterized in that The step of extracting event identifiers also includes the following steps: removing the average event loss from the catastrophic event loss occurrence result of the external catastrophic event model, that is, obtaining the catastrophic event simulation result of the external catastrophic event model.

3. The method according to any one of claims 1 or 2, characterized in that The comparison step also includes the following steps: Identify an event that is included in the internal event identifier and also included in the external event identifier as a common event; All the common events and their corresponding occurrence times in the catastrophic event simulation results of the external catastrophic event model are used to form the comprehensive catastrophic event simulation results; Identify an event that is included in the internal event identifier and not included in the external event identifier as an internally included event; Obtaining the internal catastrophe event model ELT, and generating a number of catastrophe event simulation results of the internally included events using a Latin hypercube sampling method according to the ELT; All the catastrophic event simulation results of the included events are used to form the comprehensive catastrophic event simulation results.

4. The method according to claim 3, characterized in that The following steps are also included: All events in the comprehensive catastrophic event simulation results are sorted according to the time of occurrence.

5. The method according to claim 1, characterized in that The following steps are also included: The loss value of the common event extracted from the catastrophic event simulation result of the internal catastrophic event model is set to zero.

6. The method according to claim 1, characterized in that The following steps are also included: Identify an event that is included in the internal event identifier and not included in the external event identifier as an internally included event; All the included events and their corresponding occurrence times in the catastrophic event simulation results of the internal catastrophic event model are used to form the comprehensive catastrophic event simulation results.

7. A computer program product comprising a computer program / instructions, characterized in that When the computer program / instructions are executed by a processor, the steps of the method according to claims 1-6 are implemented.

8. A catastrophic event simulation system, characterized in that: The system can implement the methods as claimed in claims 1-6 when running.

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